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Nonparametric Estimation with Aggregated Data
Linton, Oliver - 2008
We introduce a kernel-based estimator of the density function and regression function for data that have been grouped into family totals. We allow for a common intra-family component but require that observations from different families be in dependent. We establish consistency and asymptotic...
Persistent link: https://www.econbiz.de/10012771053
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Aggregation of Simple Linear Dynamics : Exact Asymptotic Results
Lippi, Marco - 2008
his paper deal with aggregation of AR(1) micro variables driven by a common and idiosyncratic shock with random …
Persistent link: https://www.econbiz.de/10012771075
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Arrow's Theorem in Judgment Aggregation
Dietrich, Franz - 2009
In response to recent work on the aggregation of individual judgments on logically connected propositions into … collective judgments, it is often asked whether judgment aggregation is a special case of Arrowian preference aggregation. We … argue the op- posite. After proving a general impossibility result on judgment aggregation, we construct an embedding of …
Persistent link: https://www.econbiz.de/10012766351
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Efficient Estimation of the Semiparametric Spatial Autoregressive Model
2008
Efficient semiparametric and parametric estimates are developed for a spatial autoregressive model, containing nonstochastic explanatory variables and innovations suspected to be non-normal. The main stress is on the case of distribution of unknown, nonparametric, form, where series...
Persistent link: https://www.econbiz.de/10012770893
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Noise and Competition in Strategic Oligopoly
Dridi, Ramdan - 2008
Focusing on homogeneous beliefs, we can distinguish two commonly shared ideas that, i) the competition between informed traders destroys their trading profits, ii) trading with a noisy signal brings about a loss in the expected profits. So far, it has been proved in the latter framework, that...
Persistent link: https://www.econbiz.de/10012770963
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Modified Whittle Estimation of Multilateral Models on a Lattice
Vidal Sanz, J - 2008
In the estimation of parametric models for stationary spatial or spatio-temporal data on a d-dimensional lattice, for d gt;= 2, the achievement of asymptotic efficiency under Gaussianity, and asymptotic normality more generally, with standard convergence rate, faces two obstacles. One is the...
Persistent link: https://www.econbiz.de/10012771000
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Cointegration in Fractional Systems with Unkown Integration Orders
Hualde, Javier - 2008
The semiparametric local Whittle or Gaussian estimate of the long memory parameter is known to have especially nice limiting distributional properties, being asymptotically normal with a limiting variance that is completely known. However in moderate samples the normal approximation may not be...
Persistent link: https://www.econbiz.de/10012771025
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Denis Sargan : Some Perspectives
2008
We attempt to present Denis Sargan's work in some kind of historical perspective, in two ways. First, we discuss some previous members of the Tooke Chair of Economic Science and Statistics, which was founded in 1859 and which Sargan held. Second, we discuss one of his artices 'Asymptotic Theory...
Persistent link: https://www.econbiz.de/10012771027
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Higher-Order Kernel Semiparametric M-Estimation of Long Memory
2008
Econometric interest in the possibility of long memory has developed as a flexible alternative to, or compromise between, the usual short memory or unit root prescriptions, for example in the context of modelling cointegrating or other relationships and in describing the dependence structure of...
Persistent link: https://www.econbiz.de/10012771030